The light will be on as the ECU will be detecting a fault in the EGR system. It expects the gas to be able to flow through the valve and if you completely blank it then you get what you have found which is an engine warning light.
Most people either fit a "restrictor" a plate with a much smaller hole in it.
Or they get the EGR mapped out electronically by a tuning company, though technically speaking this is illegal.
Take the blanking plate out, drill a hole in it and put it back.